The Role of Nonseparable Utility and Nontradeables in International Business Cycle and Portfolio Choice
By:Akito Matsumoto
Published on 2007-07-01 by International Monetary Fund
This paper analyzes the role of nonseparable utility and nontradables in business cycles and portfolio choice. I find that nonseparability in utility can change the portfolio choice significantly. Unlike previous results in literature, the optimal portfolio of the traded-good sector equities is no longer a well diversified portfolio and becomes sensitive to parameter values. As a result, the model often generates extreme home bias or anti-home bias portfolios implying that some frictions in asset markets, which prevent agents from holding these extreme portfolios, can explain the lack of international risk sharing.
This Book was ranked at 17 by Google Books for keyword explaining international production.
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